1st Edition
Martingale Pricing A Concise Introduction to Financial Derivative Valuation
Chapter 1. Introduction Chapter 2. Discrete Time Chapter 3. Continuous Time Chapter 4. Introduction to Interest Rates Chapter 5. Risk Premia and Incomplete Markets
Biography
Derek Zweig leads the market and counterparty risk analytics team at a large U.S. regional bank. In this role, he owns or supports a suite of models producing value-at-risk, potential future exposure, XVA, initial margin, and other complementary risk metrics in support of both capital markets and treasury trading desks. He has expertise managing risk for commodity, foreign currency, and interest rate derivative books, as well as fixed income, securitized product, and institutional term loan trading books. Prior to this role, Derek worked as a specialized consultant focused on equity and intangible asset valuation. His first book, A Technical Guide to Mathematical Finance, walks readers through a detailed quantitative review of foundational finance topics. He has a graduate certificate in Financial Engineering from Columbia University, an M.S. in Applied Economics from Johns Hopkins University, and a B.S. in Finance from the Ohio State University.
